It is very likely that you actually cannot convert mp3 audio files to JPEG pictures directly. MP3 file format is audio and JPEG is bitmap image file format. However, a lot of users are looking for a way to get the embedded picture from mp3 songs (album covers, interpret photos etc.) and save it as separate file.
For this you will need some mp3 tag editor or music management software, such as Helium music manager or MediaMonkey.
Plenty of free tools designed for editing mp3 tags exist. With these tools, you can easily edit information about mp3 song, export pictures and texts or other additional info from mp3 file.